The Handbook of XVA and Counterparty Risk: for FRTB and FRTB-CVA

The Handbook of XVA and Counterparty Risk: for FRTB and FRTB-CVA

Description

The book will address all aspects of portfolio simulation from a technical perspective. It is intended as a hands-on guide for quants and software engineers who implement portfolio simulation models and will cover:

Applications (including CVA/FVA and PFE as well as Counterparty Credit Risk)